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1314521Hao · 2024年01月20日

No.PZ2018070201000094 问

NO.PZ2018070201000094

问题如下:

Tim, an analyst of an investment company forecasts the return and deviation of below securities. Based on these information, which statement is most correct:

选项:

A.

Security A has the least amount of market risk.

B.

Security B has the least amount of market risk.

C.

Security C has the least amount of market risk.

解释:

B is correct.

The beta value of security A is=ρAmδAδm=1.4

The beta value of security B is =ρBmδBδm=1.33

The beta value of security C is=ρCmδCδm=1.5

Security B has the lowest beta value, therefore, it has the lowest amount of market risk.

Market Risk 难道不应该指的是系统性风险吗? 比如加息等。我看了看别的同学问的问题,我觉得助教回答不是很靠谱,“这道题的市场风险就是非系统性风险”。 是教材里面明确这么写的吗(Market Risk = B)?如果是的话那我会改变我的立场,如果教材里没有明确写,我会觉得加息等行为是市场风险。



1314521Hao · 2024年01月20日

理解偏差了, Market risk就是Beta..... 没事了没事了,不用回答我了 谢谢

1 个答案

Kiko_品职助教 · 2024年01月22日

嗨,爱思考的PZer你好:


好的。加油

----------------------------------------------
努力的时光都是限量版,加油!

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